Version: 1.0

Below we show the effect of news releases on daily returns and swings.
Critical returns are defined as days when the price range was larger than 2% daily.
Critical swings are defined as times when price corrections larger than 0.25 did not occurred after price extensions larger than 2%. Basically, the price got extended by up to 2% before there was a correction of 0.25%.

\[\\[.0009in]\]

AUDCAD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

AUDCHF

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change
2022-10-04 2.220504

Effects on swings

Non filtered swings
Date Change
2023-06-09 2.027801

\[\\[.0009in]\]

AUDJPY

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change
2022-04-29 2.052738
2022-07-01 2.585867
2022-09-28 2.064631
2022-10-21 2.886620
2022-11-04 2.133396

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

AUDNZD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

AUDUSD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

CADCHF

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

CADJPY

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change
2023-02-03 2.099016
2023-03-13 2.200265

Effects on swings

Non filtered swings
Date Change
2022-06-20 2.278833
2023-02-03 2.089558

\[\\[.0009in]\]

CHFJPY

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change
2022-06-17 2.344207
2022-10-21 2.767195
2022-12-20 4.759136

Effects on swings

Non filtered swings
Date Change
2023-06-13 2.040617

\[\\[.0009in]\]

EURAUD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

EURCAD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

EURCHF

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

EURGBP

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

EURJPY

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

EURNZD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

EURUSD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

GBPAUD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

GBPCAD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change
2022-11-30 2.139358

\[\\[.0009in]\]

GBPCHF

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

GBPJPY

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change
2022-10-17 2.077682
2022-12-20 5.310348

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

GBPNZD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

GBPUSD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

NZDCAD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change
2023-02-03 2.154053

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

NZDCHF

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change
2023-05-24 2.256648

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

NZDJPY

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change
2022-04-26 2.221395
2022-07-01 2.053139
2022-10-21 2.828191
2022-11-04 2.098738
2022-11-11 2.041766
2023-01-20 2.274251
2023-05-24 2.345106

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

NZDUSD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

USDCAD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

USDCHF

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

USDJPY

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change
2023-03-13 2.031992

Effects on swings

Non filtered swings
Date Change

\[\\[.0009in]\]

XAUUSD

Range of returns by news release days.

Effects on returns

Non filtered returns
Date Change
2022-04-25 2.193544
2023-03-13 2.301963
2023-03-20 2.238495

Effects on swings

Non filtered swings
Date Change
2022-02-23 2.288519

\[\\[.0009in]\]

AUDCAD AUDCHF AUDJPY AUDNZD AUDUSD CADJPY CADCHF CHFJPY EURAUD EURCAD EURCHF EURGBP EURJPY EURNZD EURUSD GBPAUD GBPCAD GBPCHF GBPJPY GBPNZD GBPUSD NZDCAD NZDCHF NZDJPY NZDUSD USDCAD USDCHF USDJPY XAUUSD ALL